Online Appendix for “Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices”
نویسنده
چکیده
A few papers develop full-fledged methods to estimate LG models. Binsbergen and Koijen (2009) study a LG model with time-varying risk premium and growth rate of stocks. Bekker and Bouwman (2009) estimate a three-factor LG term structure model. Carr, Gabaix and Wu (2009) show how calculate options in closed form in a LG term structure model, and perform an empirical analysis of bonds and fixed-income options. The present section has the modest goal of presenting a transparent way of estimating a simple, one-factor LG process.
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تاریخ انتشار 2009